The paper develops a model of bubbles that can be taken to the data and explain the behavior of asset prices and their statistics. We depart from the rational expectations framework and assume that investors are only boundedly rational. They observe the price process, but do not fully understand...

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset pricing model to address the empirical regularities and uncover some of the underlying mechanisms at play. Our model features a controlling...

Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various...